The intersection of past and future for multivariate stationary processes

DOI10.1090/PROC/12869MaRDI QIDQ2790284zbMATH OpenOpenAlexFDO

Authors Akihiko Inoue, Yukio Kasahara, M. Pourahmadi

Publication date 3 March 2016

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.00625

zbMATH Keywords

linear predictor coefficient matricesmultivariate stationary processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We consider an intersection of past and future property of multivariate stationary processes which is the key to deriving various representation theorems for their linear predictor coefficient matrices. We extend useful spectral characterizations for this property from univariate processes to multivariate processes.

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Cites work

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Cited in

(9)

• On the angle between past and future for multivariate stationary stochastic processes
• Closed-form expression for finite predictor coefficients of multivariate ARMA processes
• Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes
• Rigidity for matrix-valued Hardy functions
• Optimal linear interpolation of multiple missing values
• An Extension Problem for Non-negative Hermitian Block Toeplitz Matrices. II
• scientific article; zbMATH DE number 4076398 (Why is no real title available?)
• Explicit formulas for the inverses of Toeplitz matrices, with applications
• Representation theorems in finite prediction, with applications

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